封闭式基金折价与管理绩效的实证研究

An Empirical Study of Closed-end Fund Discounts and Managerial Performance

本文基于管理绩效理论,对我国封闭式基金折价现象进行实证研究。管理绩效理论认为,封闭式基金折价反映了投资者对于基金未来过低的管理能力的理性预期,未来管理绩效越差,折价越大。本文使用了多种基金绩效度量模型,分别采用引入时间哑变量和除去时间均值混合OLS回归方法以及Fama-Macbeth横截面回归方法,验证了折价率和未来管理绩效之间的关系。结果显示,封闭式基金折价和溢价反映了市场对于基金未来管理绩效的预期;当期折价率和未来管理绩效之间存在显著的正向关系,尤其在未来一个季度的时间内;这种关系不受非同步性交易效应和基金异质性的影响。本文同时发现,折价率对于未来管理绩效的解释能力强于过去的管理绩效对于未来管理绩效的解释能力。

The paper firstly studies the applicability of managerial performance theories in the closed-end fund market of China. Under the managerial performance hypothesis, discounts are attributed to investors＇ rational expectation of the inferior managerial ability and investment skills of fund managers. Secondly, by using single and multiple benchmarks, the paper tests the relationship between discounts and future managerial performance by adopting dummy variable OLS regression, time-demeaned OLS regression and Fama-Macbeth cross - sectional regression respectively. The results show that the discounts and premiums of closed-end funds reflect the market＇s assessment of anticipated managerial performance. Finally, the authors find that there is a significant and positive relation between closed-end fund premiums and future net asset value performance, especially over the following season. The relation is not affected by any synchronous trading effect and fund heterogeneity. At the same time, the closed-end fund discount serves as a primary statistic for future performance given past NAV performance as a comparing variable.